Japanese Day Count Conventions for Domestic and Euroyen Markets

Summary

The document gives a concise guide to day-count conventions used in Japanese markets. It distinguishes the domestic market, which uses actual/365, from the Euroyen market, which uses actual/360. These conventions affect how elapsed time is translated into interest accruals and therefore matter for pricing and comparing rates.

For swaps, the fixed leg is described as using six-month LIBOR with actual/365. Floating legs linked to six-month LIBOR use actual/360, while those linked to three-month TIBOR use actual/365. The note does not provide broader conventions for options, forwards, or futures, despite the question asking about them, and it gives no sources or caveats around product-specific exceptions. Treat the conventions as a compact reference rather than a comprehensive market standard.

Key ideas

• Japanese domestic market instruments use actual/365 according to the document.
• Euroyen market instruments use actual/360.
• The described swap fixed leg uses six-month LIBOR with actual/365.
• A six-month LIBOR floating leg uses actual/360, while a three-month TIBOR floating leg uses actual/365.
• The note provides limited product coverage and does not discuss possible exceptions.

Tags

# Japan day count conventions


# Japan day count conventions












I am after a good comprehensive resource on Japanese day count conventions. By that I mean, is actual/360 or actual/365 used for pricing various options, forwards, futures, etc.

## Answer by Matt Wolf (score 4, accepted)

https://quant.stackexchange.com/a/8814

for Japan, act/365 for the domestic market, and act/360 for the euroyen market.

For swaps, fixed leg convention is 6m libor act/365, floating leg, if based on libor, is the 6m rate act/360, if tibor, then the 3m rate act/365.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.